The specifics can get complicated, but the basic benefits of Skyteam (or OneWorld or Star Alliance - the other global airline partnerships) are that you can pick one program within the network (Delta, NW, Continental, etc...) and then earn miles on all of them in a single program. So, for instance, if you have 20k miles in continental, 5k in NW and 10k in delta, there's not much you can do with the miles. If you had earned them all in a single airline, you would have enough for a domestic US or Caribbean reward

For example, I fly to Africa a lot and I usually take KLM. When I go to Latin America I take Continental, and when I go to Asia I take NW. I am able to pool all of those miles in NW, rather than having tiny pockets of miles everywhere.

The other benefit is elite status - by flying enough miles on NW, I reach elite status and get benefits like upgrades, access to lounges, bonus miles, etc... Skyteam recognizes each partner's elite status through a common level: skyteam elite and elite plus. So, as an elite plus, I get access to any skyteam member's lounge when traveling on a skyteam ticket

As for combining them - the short answer is "there's not an easy way to do it"
there are ways to transfer miles between programs, but there is usually a conversion penalty to do so. I would say at this point you are better off picking a program and staying with it for the future